News Analysis

Structured Finance

The coronavirus crisis ushered in a new paradigm for securitisation noteholder communication and documentation processes, as remote working was enforced. This change has demanded flexibility from trustees and agents amid the uncertainty.
Morgan Kro...

CLOs

Sentiment in the CLO secondary market is overwhelmingly positive, which is showing up in recent pricing levels. While such sentiment is hopefully not misplaced, it is perhaps somewhat premature.
“Markets are priced to perfection, which is...

Capital Relief Trades

The outlook for the significant risk transfer market appears to be positive, at least in the short term. Not only is the instrument likely to play a role in the post-coronavirus economic recovery, but it could also help bridge a gap left by the repri...

The EBA’s final framework for STS synthetic securitisations has received an overall positive reception from the capital relief trades market (SCI 7 May), although questions remain regarding the limitation of preferential capital treatment t...

News

Forbearances are down for the first time since CARES, but payments by borrowers in forbearance slump

Last week saw the first net fall in US mortgage forbearances since the beginning of the Covid 19 crisis, according to Black Knight data released this morning, but this encouraging news hides other more disquieting information, say market experts.
W...

Capital Relief Trades

Sabadell is rumoured to be readying an SME significant risk transfer deal for the second half of the year. The lender launched its first risk transfer trade in September 2019 in full stack form (see SCI’s capital relief trades database). &a...

CLOs

Manager differentiation remains a key issue in the CLO market, with many investors focusing on individual experience of past crises. A new survey of CLO managers by Fitch provides some reassurance in this regard.
"Whether portfolio manager...

US CLO managers have worked harder than ever before to reduce triple-C exposure and build par in unprecedented circumstances since the start of March. Now, as rating downgrades appear to have plateaued it can be seen that their industry has met with...

NPLs

Pancretan Bank is readying a non-performing loan ABS that references an approximately €1.1bn real estate-backed SME portfolio. Dubbed Project Castor, the transaction is one of a handful of Greek NPL securitisations launched during the corona...

The Covid-19 pandemic has severely hit Italian non-performing loan securitisations. Since April, the volume of gross collections has decreased by about 46% relative to the January-February average. Low collection levels are likely to persist for the...

RMBS

Measures taken to contain the coronavirus pandemic have resulted in economic contraction, which is expected to weaken Irish RMBS further (SCI 30 April). Due to the characteristics of the underlying collateral, S&P suggests that Irish re-perfo...

An increase in European RMBS delinquency rates is expected in the coming months, reflecting coronavirus-induced stress on borrowers. However, Southern European RMBS transactions have structural features and portfolio characteristics that are expected...

Market moves

Structured Finance

Equity opportunities?
Despite a lack of visibility and liquidity and with cashflows likely to deteriorate further into upcoming July payment dates, there may be some opportunities in the CLO equity space, according to a new research report from JPMo...

More Euro CLOs on review
Moody’s has put a further 234 tranches from 77 European BSL CLOs on review for possible downgrade. The securities involved are rated Baa2 to B1 and below. The action brings the total number of European CLOs Moody...

Conduit CMBS on watch
S&P has placed its ratings of 96 classes from 30 US conduit CMBS on credit watch (CW) with negative implications, reflecting the bonds' exposure to the adverse impact of Covid-19 on the lodging and retail sect...

Capital Relief Trades

Capital Relief Trades

The re-proposed capital rules for the GSEs before they exit conservatorship, released by the Federal Housing Finance Authority (FHFA) on May 20, add further doubts to the future of the CRT market, according to market opinion.
Compared to the rules...